Andrews, Donald W. K.; Guggenberger, Patrik - In: The Review of Economics and Statistics 96 (2014) 2, pp. 376-381
This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...